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Publications
2010
2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 <
1993
2010
Mayerhofer, E., Pfaffel,
O. and Stelzer,
R. (2010):
On Strong Solutions for Positive Definite Jump Diffusions
Submitted for
publication.
pdf-file
Brodin, E., Klüppelberg,
C. (2010)
Modelling, Estimation and Visualization of
Multivariate Dependence for High-frequency Data.
In: Statistical Modelling and Regression Structures
Festschrift in Honour of Ludwig Fahrmeir
Kneib, Thomas; Tutz, Gerhard (Eds.)
2010, pp. 267-300.
pdf-file
García, I., Klüppelberg,
C., Müller,
G. (2010)
Estimation of stable CARMA models with an application to electricity
spot prices
Submitted for publication.
pdf-file
Esmaeili, H., Klüppelberg,
C. (2010)
Parametric estimation of a bivariate stable Lévy process
Submitted for publication.
pdf-file
Muhle-Karbe, J., Pfaffel,
O. and Stelzer,
R. (2010):
Option Pricing in Multivariate Stochastic Volatility Models of OU type
Submitted for publication.
pdf-file
Erhardt,
V., Czado, C.
(2010)
Modelling dependent yearly claim totals including zero-claims in
private health insurance
Submitted for publication.
pdf-file
2009
Klüppelberg,
C, Maller, R. and Szimayer, A. (2009)
The COGARCH: A Review, with News on Option Pricing and Statistical
Inference
Submitted for publication.
pdf-file, ps-file
Czado, C., Min, A.
(2009)
Bayesian Inference for D-vines: Estimation and Model Selection
In: Kurowicka, D., Joe, H. (Ed.) Dependence Modeling -
Handbook on Vine Copulae.
To appear.
pdf-file
Czado, C., Pfettner, J, Gschlößl, S.,
Schiller, F. (2009)
Nonnested model comparison of GLM and GAM count regression models for
life insurance data
Submitted for publication.
pdf-file
Clason, C., Hepperger,
P.
(2009)
A forward approach to numerical data assimilation
SIAM
Journal on Scientific Computing
2009, Vol. 31, No. 4, pp. 3090-3115.
pdf-file
Schreiber, I., Müller,
G., Klüppelberg,
C, Wagner. N (2009)
Equities, Credits and Volatilities: A Multivariate Analysis of the
European Market During the Sub-prime Crisis
Submitted for publication.
pdf-file
Hepperger,
P.
(2009)
Option pricing in Hilbert space valued jump-diffusion models using
partial integro-differential equations
Submitted for
publication.
pdf-file
Erhardt,
V., Czado, C.
(2009)
Sampling Count Variables with specified Pearson Correlation - a
Comparison between a naive and a C-vine Sampling Approach
In: Kurowicka, D., Joe, H. (Ed.) Dependence Modeling -
Handbook on Vine Copulae.
To appear.
pdf-file
Klüppelberg,
C., Lindner, A. (2008)
Stochastic Volatility Models: Extremal Behavior
In: Cont, R. (Ed.)
Encyclopedia of Quantitative Finance.
Wiley, Chichester. To appear.
pdf-file, ps-file
Czado, C. and Haug, S. (2009)
An ACD-ECOGARCH(1,1) model.
Journal of Financial Econometrics ,
doi: 10.1093/jjfinec/nbp023 .
Barndorff-Nielsen, O.E., Stelzer,
R. (2009)
The Multivariate SupOU Stochastic Volatility Model
Submitted for
publication.
pdf-file
Biagini, F., Fuschini, F., Klüppelberg,
C. (2009)
Credit contagion in a long range dependent macroeconomic factor model
Submitted for publication.
pdf-file
Fink, H., Klüppelberg,
C. (2009)
Fractional Lévy driven Ornstein-Uhlenbeck processes and
stochastic differential equations
Submitted for publication.
pdf-file
Czado, C., Zhang,
R., Min, A.
(2009)
Efficient maximum likelihood estimation of copula based meta
t-distributions
Submitted for publication.
pdf-file
Czado, C., Schabenberger, H., Erhardt,
V. (2009)
Nonnested model selection for spatial count regression models with
application to health insurance
Statistical Papers, accepted for publication.
pdf-file
Klüppelberg,
C., Meyer-Brandis, T., Schmidt, A.
(2009)
Electricity spot price modelling with a view towards extreme spike risk
Quantitative Finance,
to appear.
pdf-file
Haug, S.,
Stelzer,
R. (2009)
Multivariate ECOGARCH Processes
Submitted for
publication.
pdf-file
Barndorff-Nielsen, O.E. and Stelzer,
R. (2009)
Multivariate supOU Processes
Submitted for publication.
pdf-file
Aas, K., Czado, C., Frigessi, A. and Bakken, H. (2009)
Pair-copula constructions of multiple dependence.
Insurance Mathematics and Economics 44 (2), 182-198.
pdf-file
Stelzer,
R. (2009)
First Jump Approximation of a Multivariate Lévy Driven SDE and
an Application to ECOGARCH Processes
Stochastic Processes and
Their Application, 119 no. 6, 1932-1951.
pdf-file, ps-file (Preprint version)
Stelzer, R.
(2009)
Multivariate COGARCH(1,1) Processes
Bernoulli, accepted for
publication.
pdf-file,
ps-file
Eder, I. and Klüppelberg,
C. (2009)
Pareto Lévy measures and multivariate regular variation
Submitted for publication.
pdf-file
Eder, I. and Klüppelberg,
C. (2009)
The first passage event for sums of dependent Lévy processes
with applications to insurance risk
Ann. Appl. Probab. 19(6), 2047-2079.
pdf-file
Min, A.,
Holzmann, H., Czado, C.
(2009)
Model selection strategies for identifying most relevant covariates in
homoscedastic linear models
Computational Statistics and
Data Analysis, accepted for publication.
pdf-file
Czado, C., Gärtner, F., Min, A.
(2009)
Analysis of Australian electricity loads using joint Bayesian inference
of D-Vines with autoregressive margins
In: Kurowicka, D., Joe, H. (Ed.) Dependence Modeling -
Handbook on Vine Copulae.
To appear.
pdf-file
Pigorsch, C. and Stelzer,
R. (2009)
A Multivariate Ornstein-Uhlenbeck Type Stochastic Volatility Model.
Submitted for publication.
pdf-file
Klüppelberg,
C.
and Pergamenshchikov, S. (2009)
Optimal consumption and investment with bounded downside risk measures
for logarithmic utility functions
H.
Albrecher, W. Runggaldier and W. Schachermayer (Eds.): Advanced
Financial Modelling.
Radon Ser. Comput.
Appl. Math. 8., pp. 245-273. Walter
de
Gruyter, Berlin, 2009.
pdf-file, ps-file
Böcker,
K. and Klüppelberg,
C.
(2009)
Approximationen erster Ordnung für operationelle Risiken unter
Abhängigkeiten
In:
Schäfer/Burghof/Johanning/Wagner/Rodt (Hrsg.). Risikomanagement und
kapitalmarktorientierte Finanzierung.
Festschrift für Bernd
Rudolph, pp. 403-420. Fritz
Knapp Verlag, Frankfurt am Main.
pdf-file
Klüppelberg,
C., Kuhn, G. (2009)
Copula Structure Analysis.
J. Royal Stat. Soc., Series
B, 71 (3), 737 - 753.
pdf-file,
ps-file
Czado, C., Min, A., Baumann, T., Dakovic, R. (2009)
Pair-copula constructions for modeling exchange rate dependence.
Submitted for publication.
pdf-file
Erhardt, V.,
Czado, C.
(2009)
Generalized estimating equations for longitudinal generalized Poisson
count data with regression effects on the
mean and dispersion level.
Submitted for publication.
pdf-file
Stelzer, R. (2009)
On Markov-switching ARMA processes - stationarity, existence of moments
and geometric ergodicity.
Econometric Theory, 25 no. 1, 43-62.
pdf-file,
ps-file
Fasen, V.
(2009)
Extremes of Lévy Driven Mixed MA Processes with Convolution
Equivalent Distributions.
Extremes, 12(3), pp. 265-296.
ps-file, pdf-file
Böcker,
K. and Klüppelberg,
C.
(2009)
First Order Approximations to Operational Risk - Dependence and
Consequences
G.N. Gregoriou
(ed.), Operational Risk Toward Basel III, Best
Practices and Issues in Modeling, Management and Regulation.
Pp. 219-245, Wiley, New
York.
pdf-file
Fasen, V.
(2009)
Asymptotic Results for Sample Autocovariance Functions and Extremes of
Integrated Generalized Ornstein-Uhlenbeck Processes.
Bernoulli, to appear.
ps-file,
pdf-file
Müller,
G., Durand, R., Maller, R., Klüppelberg,
C. (2009)
Analysis of stock market volatility by continuous-time GARCH models
In: Gregoriou, G.N. (2009) Stock
Market Volatility.
Chapman Hall/Taylor and
Francis, London, pp. 31-50.
pdf-file
Fasen, V.,
Samorodnitsky, G. (2009)
A fluid cluster Poisson input process can look like a fractional
Brownian motion even in the slow growth aggregation regime
Adv. in Appl. Probab. 41(2),
pp. 393-427.
pdf-file
Brachner, C., Fasen, V., Lindner,
A. (2009)
Extremes of Autoregressive Threshold Processes
Adv. in Appl. Probab. 41(2), pp. 428-451.
pdf-file
Lindner, A.M. (2009)
Continuous time approximations to GARCH and stochastic volatility
models,
in: Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, Th.
(Eds.), Handbook of Financial Time Series., Springer, pp.
481-496.
pdf-file
Fasen, V.
(2009)
Extremes of continuous-time processes
In: Andersen, T.G.,
Davis,
R.A., Kreiss, J.-P. and Mikosch, T. (Eds.)
Handbook of Financial
Time
Series.
Springer, Heidelberg,
2009, 653-667.
pdf-file,
ps-file
Varin, C. and Czado,
C. (2009)
A Mixed Autoregressive Probit Model for Ordinal Longitudinal Data
Biostatistics, accepted for
publication.
pdf-file, web-appendix
(pdf)
Dakovic, R.,
Czado, C., Berg, D. (2009)
Bankruptcy Prediction in Norway:
A Comparison Study.
Applied Economics
Letters, accepted for publication.
pdf-file
Dakovic, R.,
Czado, C. (2009)
Comparing point and interval estimates in the bivariate t-copula model
with application to financial data.
Statistical Papers,
accepted for publication.
pdf-file, ps-file
Pigorsch, C. and Stelzer, R. (2009):
On the Definition, Stationary Distribution and Second Order Structure
of Positive Semi-definite Ornstein-Uhlenbeck type Processes
Bernoulli, 15 no. 3, 754-773.
pdf-file,
(as published in Bernoulli,
see here
for full publication details)
Klüppelberg,
C., Pergamenchtchikov, S. (2009)
Optimal consumption and investment with bounded downside risk for
power utility functions
In: Delbaen, F., Rásonyi, M. and Stricker, C. (Eds.):
Optimality and Risk - Modern
Trends in Mathematical Finance, pp. 133-169. Springer, Berlin.
pdf-file,
ps-file
2008
Asmussen, S., Fasen, V., Klüppelberg,
C. (2008)
Heavy tails in insurance.
In: Cont, R. (Ed.)
Encyclopedia
of Quantitative Finance. Wiley, Chichester. To appear.
pdf-file
Erhardt, V.,
Czado, C.
(2008)
A Method for approximately sampling high-dimensional Count Variables
with prespecified Pearson Correlation.
Submitted for publication.
pdf-file, Webappendix
Esmaeili, H., Klüppelberg,
C. (2008)
Parameter estimation of a bivariate compound Poisson process
Submitted for publication.
pdf-file, ps-file
Czado, C., Nguyen, T., Müller,
G. (2008)
Ordinal stochastic volatility and stochastic volatility models for
price changes:
An empirical comparison.
Submitted for publication.
pdf-file
Böcker,
K. (2008)
Modelling and Measuring Business Risk
In: Pillar II in the New
Basel
Accord: the Challenge of the Internal
Capital Adequacy Assessment
Process, Ed. A. Resti, Risk Books, to appear.
pdf-file
Böcker,
K., Klüppelberg,
C. (2008)
Modelling and Measuring Multivariate
Operational Risk with Lévy Copulas
J. Operational Risk 3(2), 3-27.
pdf-file,
ps-file
Böcker,
K., Klüppelberg,
C. (2008)
Economic Capital Modelling and Basel II Compliance in the Banking
Industry
In: Jäger, W. and Krebs,
H.-J. (Eds.)
Mathematics - Key
Technology for the Future. Springer, Berlin.
pdf-file,
ps-file
Endo, K.,
Matsui, M. (2008)
Generalized fractional Ornstein-Uhlenbeck processes
Submitted for publication.
pdf-file
Stelzer,
R. (2008)
On the Relation Between the vec and BEKK Multivariate GARCH Models.
Econometric Theory, 24
no. 4, 1131-1136.
pdf-file,
ps-file
(Preprint version)
Klüppelberg,
C., Resnick, S. (2008)
The Pareto Copula, aggregation of risks and the Emperor's socks.
J. Appl. Prob. 45(1), 67-84.
pdf-file,
ps-file
Delong, L., Klüppelberg,
C.
(2008)
Optimal investment and consumption in a
Black-Scholes market with Lévy-driven stochastic coefficients.
Annals of Applied Probabability 18 (3), 879-908.
pdf-file
Durand, R., Jafarpour, H., Klüppelberg,
C., Maller, R. (2008)
Maximize the Sharpe Ratio and Minimize a VaR
Submitted for
publication.
pdf-file
Stelzer,
R. (2008)
Multivariate Markov-switching ARMA processes with regularly varying
noise.
Journal of Multivariate Analysis, 99 no. 6, 1177-1190.
pdf-file,
ps-file
(Preprint version)
Czado, C., Pflüger, C. (2008)
Modeling Dependencies between rating categories
and their efects on prediction in a credit risk
portfolio.
Applied Stochastic Models in
Business and Industry. To appear.
pdf-file
Min, A. and Czado,
C.
(2008)
Bayesian inference for multivariate copulas using pair-copula
constructions.
Submitted for publication.
pdf-file
Klüppelberg,
C., Kostadinova, R. (2008)
Integrated insurance risk models with exponential Lévy
investment.
Insurance: Math &
Economics 42 (2), 560-577.
doi:10.1016/j.insmatheco.2007.06.002,
pdf-file
Min, A., Czado, C. (2008)
Testing for zero-modification in count regression models.
Statistica Sinica, to appear.
pdf-file
Fasen, V.,
Klüppelberg,
C., Schlather, M. (2008)
High-level dependence in time series models
Extremes, accepted for
publication.
pdf-file
Brokate, M., Klüppelberg,
C., Kostadinova, R., Maller, R., Seydel, R.S. (2008)
On the distribution tail of an integrated risk model: a numerical
approach
Insurance: Math. and Econ. 42, 101-106.
ps-file,
pdf-file
Bernhardt, C.,Klüppelberg,
C., Meyer-Brandis, T.
(2008)
Estimating high quantiles for electricity prices by stable linear models
Journal of Energy Markets 1 (1), 3-19.
pdf-file
Gschlößl, S., Czado, C. (2008)
Does a Gibbs sampler approach to spatial Poisson regression models
outperform a single site MH sampler?
Computational Statistics and
Data Analysis, 52 (9), 4184-4202.
pdf-file
Böcker,
K., Sprittulla, J. (2008)
Operational VAR: meaningful means
RISK, December 2006, 96-98.
pdf-file
Bertoin, J., Lindner, A., Maller, R.
(2008)
On continuity properties of integrals of Lévy processes.
In: Donati-Martin, C.,
Émery, M., Rouault, A. und Stricker, C. (Eds.), Séminaire de Probabilités
XLI, Lect. Notes Math. 1934, pp. 137-159. Springer.
ps-file, pdf-file
Czado, C., Prokopenko, S. (2008)
Modeling Transport Mode Decisions Using Hierarchical Logistic
Regression Models with Spatial and Cluster Effects.
Statistical Modelling, Vol. 8
(4), 315-345
pdf-file
Lindner, A.M. (2008)
Stationarity, mixing, distributional properties and moments of
GARCH(p,q),
in: Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, Th.
(Eds.), Handbook of Financial Time Series., Springer, to
appear.
pdf-file
Klüppelberg,
C., Kuhn, G., Peng, L. (2008)
Semi-Parametric Models for the Multivariate Tail
Dependence Function - the Asymptotically
Dependent Case.
Scand. J. Stat.,
35 (4), pp. 701-718.
pdf-file
2007
Haug, S.
and Czado, C. (2007)
An exponential continuous time GARCH process
Journal of Applied Probability, 44 (4),
960-976.
pdf-file
Maller, R., Müller,
G. and Szimayer, A. (2007)
GARCH Modelling in Continuous Time for Irregularly
Spaced Time Series Data.
Bernoulli, to appear.
pdf-file
Marquardt T. (2007)
Multivariate FICARMA processes.
J. Mult. Anal., 98, 1705 - 1725
ps-File,
pdf-File
Czado,
C., Gneiting, T., Held, L. (2007)
Predictive Model Assessment for Count Data.
Biometrics, to appear.
pdf-file
Resnick, S. (2007)
Multivariate regular variation on cones: application to extreme values,
hidden regular variation and conditioned limit laws.
John-von-Neumann Lectures, summer semester 2007.
pdf-file
Marquardt T. and James L. F. (2007)
Generating long memory models based on CARMA processes
Submitted for publication.
pdf-file,
ps-file
Kostadinova, R. (2007)
Optimal investment for insurers, when the stock price follows an
exponential Lévy process
Insurance: Math. and Econ. 41(2), 250-263.
pdf-file
Böcker,
K., Klüppelberg,
C. (2007)
Multivariate Operational Risk:
Dependence Modelling with Lévy Copulas
2007 ERM Symposium Online Monograph, Society of Actuaries,
and
Joint Risk Management section newsletter
of the Society of Actuaries, Casualty of Actuaries, and Canandian
Insitute
of Actuaries Society of Actuaries.
pdf-file,
ps-file
Böcker,
K., Hillebrand, M. (2007)
Interaction of Market and Credit Risk: An Analysis of
Inter-Risk Correlation and Risk Aggregation
(PRMIA "2008 New Frontiers in Risk Management Award")
Submitted for publication.
pdf-file
Haug, S.,
Klüppelberg,
C., Lindner, A.,
Zapp, M. (2007)
Method of moment estimation in the COGARCH(1,1) model
The Econometrics Journal, 10, 320-341.
(This is an electronic version of an article published in The
Econometrics Journal. The original publication is available at http://www.blackwell-synergy.com/toc/ectj/)
pdf-file,
ps-file
Maller, R. A., Müller, G.,
Szimayer, A. (2007)
Ornstein-Uhlenbeck Processes and Extensions.
Submitted for publication.
pdf-file
Brockwell, P. J., Davis, R. A., Yang, Y. (2007)
Estimation for Non-Negative Lévy-driven Ornstein-Uhlenbeck
Processes.
J. Appl. Probab., 44 (4), 977-989.
pdf-file
Brockwell, P. J. (2007)
Lévy-driven Continuous-Time ARMA Processes
Submitted for publication.
pdf-file
Buchmann, B.,
Weber, S. (2007)
A continuous time approximation of an evolutionary stock market model.
Int. J. Theor. Appl. Finance. 10(7), 1229-1253.
ps-file,
pdf-file
Klüppelberg,
C., Kuhn, G., Peng, L. (2007)
Estimating the Tail Dependence Function of an Elliptical Distribution.
Bernoulli 13 (1), 229–251.
(This is an electronic version of an article published in Bernoulli.)
pdf-file
Klüppelberg,
C., Pergamenchtchikov, S. (2007)
Extremal behavior of models with multivariate random recurrence
representation.
Stoch. Proc. Appl. 117, 432-456.
pdf-file,
ps-file
Czado, C., Song, P. X.-K. (2007) State Space
Mixed Models for longitudinal
Observations with Binary and Binomial Responses.
Statistical Papers. DOI 10.1007/s00362-006-0039-y
(This is an electronic version of an article published in Statistical
Papers. The original publication is available at http://www.springerlink.com)
ps-file,
pdf-file
Bender, C., Marquardt, T. (2007)
Stochastic calculus for convoluted Lévy processes
Bernoulli 14 (2), 499-518.
pdf-file
Czado, C., Erhardt, V., Min,
A., Wagner, S.
(2007)
Zero-inflated generalized Poisson models with regression effects
on the mean, dispersion and zero-inflation level applied to patent
outsourcing rates.
Statistical Modelling 7 (2), 125-153.
ps-file,
pdf-file
Gschlößl, S., Czado, C. (2007)
Spatial modelling of claim frequency and claim size in non-life
insurance.
Scandinavian Actuarial
Journal, 107, 202-225.
pdf-file
Barndorff-Nielsen, O. E. and Stelzer, R. (2007)
Positive-Definite Matrix Processes of Finite Variation.
Probability and Mathematical Statistics, 27 no. 1, 3-43.
pdf-file
Lindner, A., Sato, K. (2007)
Continuity properties and infinite divisibility of stationary
distributions of some generalised Ornstein-Uhlenbeck processes.
Submitted for publication.
pdf-file
Freitag, G., Czado, C., Munk, A. (2007)
A Nonparametric Test for Similarity of Marginals - with Applications to
the Assessment of Population Bioequivalence.
Journal of Statistical
Planning and Inference 137, 697-711.
pdf-file
Fasen, V.,
Klüppelberg,
C.
(2007)
Extremes of supOU processes
In: Benth, F.E.; Di Nunno, G.; Lindstrom, T.; Oksendal, B.; Zhang, T.
(Eds.)
Stochastic Analysis and Applications, The Abel Symposium 2005
Springer, 340-359.
pdf-file,
ps-file
Czado, C., Kolbe, A. (2007)
Model-based Quantification of the Volatility of Options at
Transaction Level with Extended Count Regression Models.
Applied Stochastic Models in Business and Industry,
23,
1-21.
pdf-file
Marquardt, T., Stelzer, R. (2007)
Multivariate CARMA Processes.
Stoch. Proc. Appl., 117, 96-120.
ps-file,
pdf-file
Brockwell, P. J., Davis, R., Yang, Y. (2007)
Continuous-time Gaussian Autoregression.
Statistica Sinica 17,
63-80.
ps-file,
pdf-file
Buchmann, B.,
Chan, N.H. (2007)
Asymptotic theory of least square estimators for nearly unstable
processes under strong dependence.
Ann. Appl. Probab., 35(5),
2001-2017.
pdf-file
Rosinski, J. (2007)
Tempering stable processes.
Stochastic Processes and Their Applications, 117(6), 677-707.
pdf-file
Cohen, S., Rosinski, J. (2007)
Gaussian approximation of multivariate Lévy processes with
applications to simulation of tempered and operator stable processes.
Bernoulli 13,
195-210.
pdf-file
Barndorff-Nielsen, O.E., Lindner, A.
(2007)
Lévy copulas: dynamics and transforms of Upsilon-type.
Scan. J. Statistics 34, 298-316.
ps-file, pdf-file
2006
Klüppelberg,
C., Peng, L. (2006)
Empirical Likelihood Methods for an AR(1) Process with ARCH(1) Errors.
International Journal of Statistics and Management Systems
1,
48-58.
ps-file,
pdf-file
Klüppelberg,
C. , May, A. (2006)
Bivariate extreme value distributions based on polynomial dependence
functions.
Math. Methods Appl. Sci. 29 (12), 1467-1480.
ps.gz-file
Brockwell, P.J., Chadraa, E., Lindner, A. (2006)
Continuous time GARCH processes.
Ann. Appl. Probab., 16 (2), 790-826.
pdf-file
Casazza, P.,
Christensen, O., Li, S., Lindner, A. (2006)
Density results for frames of exponentials.
In: Heil, C. (Ed.), Harmonic Analysis and Applications. In
Honor of John J. Benedetto, pp. 359-369, Birkhäuser.
ps-file, pdf-file
Czado, C., Raftery, A. E. (2006)
Choosing the link function and accounting for link uncertainty in
generalized linear models using Bayes factors .
Statistical Papers, 47, 419-442.
ps-file,
pdf-file
Marquardt, T. (2006)
Fractional Lévy processes with an application to long memory
moving average processes.
Bernoulli, 12(6),
1009-1126.
pdf-file,
ps-file
Brodin, E., Klüppelberg, C. (2006)
Extreme Value Theory in Finance.
In: Everitt, B. and Melnick, E. (Eds.) Encyclopedia of
Quantitive
Risk Assessment. To appear.
ps-file,
pdf-file
Gschlößl, S., Czado, C., (2006)
Modelling count data with overdispersion and spatial effects.
Statistical Papers.
DOI 10.1007/s00362-006-0031-6
(This is an electronic version of an article published in Statistical
Papers.
The original publication is available at http://www.springerlink.com)
ps-file,
pdf-file
Fasen, V.,
Klüppelberg,
C. (2006)
Large Insurance Losses Distributions.
In: Everitt, B. and Melnick, E. (Eds.)
Encyclopedia of Quantitative Risk Assessment, pp. 961-969.
pdf-file
Pergamenshchikov, S., Zeitouny, O. (2006)
Ruin probability in the presence of risky investments.
Stoch. Proc. Appl., 116 (2), 267-278.
pdf-file,
ps-file
Hillebrand,
M.
(2006)
Modeling and estimating dependent loss given default.
Risk, September 2006.
pdf-file
Haug, S.,
Czado, C.(2006)
A fractionally integrated ECOGARCH process
Discussion Paper 484 beim SFB 386 "Diskrete Strukturen".
pdf-file
Holzmann, H., Min, A., Czado, C. (2006)
Validating linear restrictions in linear
regression models with general error
structure.
Discussion Paper 478 beim SFB 386 "Diskrete Strukturen".
pdf-file
Buchmann, B., Klüppelberg,
C. (2006)
Fractional Integral Equations and State Space Transforms.
Bernoulli, 12(3), 431-456.
pdf-file,
ps-file
Böcker,
K., Klüppelberg,
C. (2006)
Multivariate Models for Operational Risk.
(PRMIA "2007 New Frontiers in Risk Management Award")
Quantitative Finance. To
appear.
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Klüppelberg,
C., Kyprianou, A. (2006)
On extreme ruinous behaviour of Lévy insurance risk processes.
J. Appl. Probab., 43(2),
1-5.
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Müller, G. (2006)
MCMC estimation of the COGARCH(1,1) model.
Submitted for publication.
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Klüppelberg,
C., Lindner, A.,
Maller, R. (2006)
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck
models, in: Kabanov, Y., Lipster, R. and Stoyanov, J. (Eds.)
In: Kabanov, Y., Liptser, R. und Stoyanov, J. (Eds.), The
Shiryaev Festschrift: From Stochastic Calculus to Mathematical Finance,
pp. 393-419. Springer, Berlin.
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Kwapien, S., Rosinski, J. (2006)
Asymptotic bounds for infinitely divisible sequences.
Stochastic Processes and Their Applications 116, 1622-1635.
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Fasen, V.
(2006)
Extremes of subexponential Lévy driven moving average processes.
Stochastic Process. Appl., 116, pp. 1066-1087
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Fasen, V.,
Klüppelberg,
C., Lindner, A.
(2006)
Extremal behavior of stochastic volatility models.
In: Grssinho, M.d.R.,
Shiryaev, A.N., Esquivel, M und Oliviera, P.E. (Eds.), Stochastic
Finance, pp. 107-155. Springer, New York
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2005
Müller, G., Czado, C. , (2005)
An autoregressive ordered probit model with application to high
frequency financial data.
Journal of Computational and Graphical Statistics., 14,
320-338.
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Czado, C., Delwarde, A., Denuit, M., (2005)
Bayesian Poisson Log-Bilinear Mortality Projections.
Insurance: Mathematics and Economics, 36,
260-284.
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Helms, F., Czado, C., Gschlößl, S., (2005)
Calculation of LTC Premiums based on direct estimates of transition
probabilities.
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ASTIN Bulletin , 35, 455-469.
Haug, S., Czado, C. (2005)
Mixed effect models for absolute log-returns of ultra high frequency
data
Appl. Stochastic Models Bus. Ind., 2006; 22,
243-267.
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ps-file
Högn, R., Czado, C. (2005)
Multiresolution Analysis of Long Time Series With
Applications to Finance.
Discussion Paper 497 beim SFB
386
"Diskrete Strukturen".
pdf-file
Müller, G., Czado, C. (2005)
Stochastic volatility models for ordinal valued time series with
application to finance.
Statistical Modelling, to appear.
pdf-file
Casazza, P., Christensen, O., Lindner, A.,
Vershynin, R. (2005)
Frames and the Feichtinger conjecture.
Proc. Amer. Math. Soc. 133 no. 4 (2005),
1025-1033.
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Lindner,
A.,
Maller, R. (2005)
Lévy integrals and the stationarity of generalised
Ornstein-Uhlenbeck processes.
Stoch. Proc. Appl. 115
no. 10, 1701-1722.
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ps-file
Böcker,
K., Klüppelberg,
C. (2005)
Operational VaR: a closed-form approximation
RISK, December 2005, 90-93.
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pdf-file
Czado, C., Min, A. (2005)
Zero-inflated generalized Poisson regression: Asymptotic theory and
applications.
Discussion Paper 474 beim SFB 386 "Diskrete Strukturen".
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ps-file
Klüppelberg,
C., , Lindner,
A. (2005)
Extreme value theory for moving avarage processes with light-tailed
innovations.
Bernoulli 11, no. 3, 381-410.
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pdf-file
Bregman, Y., Klüppelberg,
C. (2005)
Ruin estimation in multivariate models with Clayton dependence
structure.
Scand. Act. J. Vol. 2005, Heft 6, 462-480.
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Brockwell, P., Marquardt, T. (2005)
Lévy-driven and fractionally integrated ARMA processes with
continuous time parameter
Statistica Sinica, 15 (2), 477-494.
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Barndorff-Nielsen, O. E., Stelzer, R. (2005)
Absolute Moments of Generalized Hyperbolic Distributions and
Approximate Scaling of Normal Inverse Gaussian Lévy-Processes.
Scandinavian Journal of Statistics, 32 no. 4,
617-637
pdf-file
(This is an electronic version of an article published in Scandinavian
Journal of Statistics complete citation information for the final
version of the paper, as published in the print edition of Scandinavian
Journal of Statistics is available on the Blackwell Synergy online
delivery service, accessible via the journal's website at http://www.blackwellpublishing.com
or http://www.blackwell-synergy.com)
Matlab code to calculate
normal µ-centered moments and
absolute µ-centered moments of NIG distributions/
Lévy-processes and analyse their scaling behaviour.
Kostadinov, K. (2005)
Non-parametric estimation of elliptical copulae with application to
credit risk.
Preprint, Munich University of Technology.
pdf-file
Buchmann, B., Klüppelberg,
C. (2005)
Maxima of stochastic processes driven by fractional Brownian motion.
Adv. Appl. Probab. 37 (3), 743-764.
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ps-file
Kostadinov, K. (Winter 2005/06)
Tail approximation for credit risk portfolios with heavy-tailed risk
factors.
Journal of Risk 8 (2), 81-107.
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Czado, C., Heyn, A., Müller, G. (2005)
Modeling individual migraine severity with autoregressive ordered
probit models.
Discussion Paper 413 beim SFB 386 "Diskrete Strukturen".
Submitted for publication.
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Czado, C., Prokopenko, S., Zängler,
T.W., (2005)
Räumliche Logit-Modelle der individuellen Verkehrsmittelwahl mit
Berücksichtigung von Clustereffekten.
In: Deutsche Verkehrswissenschaftliche Gesellschaft (Hrsg.): 12.
Seminar für Statistik und Verkehr - Mikroökonometrische
Methoden in der Verkehrsforschung.
Schriftenreihe der Deutschen Verkehrswissenschaftlichen
Gesellschaft e.V. DVWG, B 280
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Fasen, V.
(2005)
Extremes of regularly varying Lévy driven mixed moving average
processes.
Adv. in Appl. Probab. 37, 993-1014.
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2004
Brockwell, P. (2004)
Representations of continuous-time ARMA processes
J. Appl. Probab., 41 A, 365-. 382.
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Buchmann,
B.,
Grübel, R., (2004)
Decompounding Poisson random sums: recursively truncated estimates in
the discrete case.
Ann. Inst. Statist. Math., 56 (4), 743-756.
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Tasche, D., Tibiletti,
L. (2004)
Approximations for the Value-at-Risk approach to risk-return analysis.
The ICFAI Journal of Financial Risk Management, 1(4),
44-61.
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Tasche, D. (2004)
Allocating Portfolio Economic Capital to Sub-portfolios.
In: "Economic Capital: A Practitioner Guide", A. Dev (ed.),
Risk Books,
2004, pp. 275-302.
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Kühn, C. (2004)
Game contingent claims in complete and incomplete markets.
Journal of Mathematical Economics, 40, 889-902.
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Denker M., Min A. (2004)
On estimators for information dimension.
Submitted for publication.
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pdf-file
Holzmann H., Koch S., Min A. (2004)
Almost sure limit theorems for U-statistics.
Statistics and Probability Letters, 69, 261-269.
pdf-file,
ps-file
Hsing, T., Klüppelberg,
C., Kuhn, G.,
(2004)
Dependence estimation and visualization in multivariate extremes with
applications to financial data.
Extremes 7, No.
2,
99-121.
pdf-file
Müller, G., Czado, C. , (2004)
An autoregressive ordered probit model with application to high
frequency financial data.
To appear in Journal of Computational and Graphical
Statistics.
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pdf-file
Klüppelberg,
C., Kühn, C.
(2004)
Fractional Brownian motion as a weak limit of Poisson shot noise
processes - with applications to finance.
Stoch. Proc. Appl., 113, 333-351.
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pdf-file
Kuhn, G.
(2004)
Tails of Credit Default Portfolios.
Technical Report, Munich University of Technology.
pdf-file
Klüppelberg,
C., Kyprianou, A., Maller, R., (2004)
Ruin probabilities and overshoots for general Lévy insurance
risk processes
Ann.
Appl.
Probab., 14 (4), 1766-1801.
pdf-file
Urban, M., Dittrich, J., Klüppelberg, C.,
Stölting, R. (2004)
Allocation of risk capital to insurance portfolios.
Blätter der DGVFM 26, 389-406.
ps-file,
pdf-file
Baltrunas, A., Daley, D.J., Klüppelberg, C.
(2004)
Tail behaviour of the busy period of GI/G/1 queue with subexponential
service times.
Stoch. Proc. Appl. 111, no 2, 237-258.
pdf-file
Klüppelberg,
C., Pergamenchtchikov, S., (2004)
The tail of the stationary distribution of a random coefficient AR(q)
model.
Ann. Appl. Probab. 14, no 2, 971-1005.
pdf-file
Barndorff-Nielsen, O.E., Lindner, A.M.
(2004)
Some aspects of Lévy copulas.
Thiele-research
report 2005-15
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pdf-file
Kallsen, J., Kühn,
C., (2004)
Pricing Derivatives of American and Game Type in Incomplete Markets.
Finance & Stochastics 8, no 2, 261-284.
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pdf-file
Kabanov, Y., Klüppelberg,
C., (2004)
A geometric approach to portfolio optimization in models with
transaction cocts.
Finance & Stochastics 8, no 2, 207-227.
pdf-file
Hsing, T., Klüppelberg,
C., Kuhn, G.,
(2004)
Modelling, Estimation and Visualization of Multivariate Dependence for
Risk Management.
Technical Report, Munich
University of Technology.
pdf-file,
ps.gz-file
Klüppelberg,
C., (2004)
Subexponential distributions.
Sundt, B. and Teugels, J. (Eds.) (2004), Encyclopedia of
Actuarial
Science. Wiley, Chichester. 3, 1626-1633.
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pdf-file
Baltrunas, A., Klüppelberg,
C. (2004)
Subexponential distributions - large deviations with applications to
insurance and queueing models.
Austr.N.Z.J.Stat 46, no 1, 141-150.
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pdf-file
Emmer,
S., Klüppelberg,
C.(2004)
Optimal portfolios when stock prices follow an exponential Lévy
process.
Finance & Stochastics 8, 17-44.
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pdf-file
Klüppelberg,
C., Lindner, A.,
Maller, R. (2004)
A continuous time GARCH process driven by a Lévy process:
stationarity and second order behaviour.
J. Appl. Prob. 41, no. 3, 601-622.
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pdf-file
Lindner,
A.,
Szimayer, A. (2004)
A limit theorem for copulas.
Technical Report, Munich University of Technology.
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pdf-file
Jaschke, S., Klüppelberg,
C., Lindner, A.
(2004)
Asymptotic behavior of tails and quantiles of quadratic forms of
Gaussian vectors.
J. Multiv. Anal. 88, no 2, 252-273.
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pdf-file
Klüppelberg,
C. (2004)
Risk management with extreme value theory.
In: Finkenstädt, B. and Rootzén, H. (Eds)
Extreme Values in Finance, Telecommunication and the
Environment.
Chapman and Hall/CRC, Boca Raton, pp.101-168
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2003
Buchmann,
B.,
Grübel, G. (2003)
Decompounding: an estimation problem for Poisson random sums.
Ann. Statist. 31(4), 1054-1074.
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pdf-file
Czado, C., (2003)
Einführung zu Markov Chain Monte Carlo Verfahren mit Anwendung auf
Gesamtschadenmodelle.
Blätter der Deutschen Gesellschaft für
Versicherungs- und
Finanzmathematik, Band XXVI,
Heft 3, 331-350
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pdf-file
Czado, C., Gschlößl, S., (2003)
The inception selection effect of diagnosis in a German long term care
portfolio.
Discussion Paper 357 beim SFB 386 "Diskrete Strukturen".
ps-file,
pdf-file
Müller, G., Czado, C., Antes, S., Rottenwallner, M., (2003)
Regression Models for Ordinal Valued Time Series: Applications in High
Frequency Finance and Medicine.
Discussion Paper 335 beim SFB 386 "Diskrete Strukturen".
ps-file,
pdf-file
Högn, R., Czado, C., (2003)
Theoretical Foundations of
Autoregressive Models for Time Series on Acyclic Directed
Graphs.
Discussion Paper 326 beim SFB 386 "Diskrete Strukturen".
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Tasche,
D. (2003)
Unbiasedness in Least Quantile Regression.
In: R. Dutter, P. Filzmoser, U. Gather, P. J. Rousseeuw (eds.)
Developments in Robust Statistics
Heidelberg, New York: Physica-Verlag, pp. 377-386.
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Klüppelberg,
C., Pergamenchtchikov, S., (2003)
Renewal theory for functionals of a Markov chain with compact state
space.
Ann. Probab. 2003, Vol. 31, No. 4, 2270-2300
pdf-file
Klüppelberg,
C., Mikosch, T., Schärf, A. (2003)
Regular variation in the mean and stable limits for Poisson shot noise.
Bernoulli 9, 467-496.
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pdf-file
Balkema, A. A., Klüppelberg,
C. und Resnick S. I. (2003)
Domains of attraction for exponential families.
Stoch. Proc. Appl. 107, 83-103.
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pdf-file
2002
Christensen, O., Lindner,
A. (2002)
Decomposition of Riesz frames and wavelets into a finite union of
linearly independent sets.
Lin. Alg. Appl. 355,
147-159.
pdf-file
Lindner, A. (2002)
Growth estimates for sine-type-functions and
applications to Riesz bases of exponentials.
Aprox. Theory Appl. (N.S.) 18,
26-41.
pdf-file
Casazza, P., Christensen, O., Li, S., Lindner, A. (2002)
On Riesz Fischer sequences and lower frame bounds.
Z. Anal. Anwend. 21,
305-314.
pdf-file
Klüppelberg,
C., Maller R.A., Van De Vyver M., Wee D. (2002)
Testing for
reduction to random walk in autoregressive conditional
heteroscedasticity models.
The
Econometrics Journal 5 387-416.
Copyright
is held by the Royal Economic Society, but is made available on this
site for personal use free of charge by permission of the Society.
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Lindner, A., Meyer, K., (2002)
Extremal behavior of finite EGARCH processes.
Submitted for publication.
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pdf-file
Asmussen, S., Kalashnikov, V.,
Klüppelberg, C., Konstantinides, D., Tsitiashvili, G.
(2002)
A local limit theorem for random walk maxima with heavy tails.
Statistics & Probability Letters 56, 399-404.
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Kühn,
C. (2002)
Pricing contingent claims in incomplete markets when the holder can
choose among different payoffs.
Insurance: Mathematics & Economics 31(2), 215-233.
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pdf-file
Kunz,
A. (2002)
Maxima of Diffusion Processes of Gradient Field Type with Respect to
the Level Sets of the Potential.
Technical Report. Munich University of Technology.
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Brockwell, P. J., Dahlhaus, R., Trindade, A. A. (2002)
Modified Burg Algorithms for Multivariate Subset Autoregression.
Statistica Sinica, 15, 197-213.
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Kunz,
A. (2002)
On Extremes of Multivariate Stationary Diffusion Processes in Euclidean
Norm.
Technical Report. Munich University of Technology.
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Brockwell, P. J.(2002)
Autoregressions generated by the tent map.
Submitted for publication.
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Czado,
C., Rudolph,F., (2002)
Application of Survival Analysis Methods to Long Term Care Insurance
Insurance: Mathematics and Economics, 31, 395-413.
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pdf-file
Acerbi,
C., Tasche,
D. (2002)
On the coherence of Expected Shortfall.
Journal of Banking and Finance 26, no 7,
1487-1503.
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Tasche,
D.
(2002)
Expected Shortfall and Beyond.
Journal
of Banking and Finance 26, no 7, 1519-1533.
Short version in: Yadolah Dodge (ed.)
Statistical data analysis based on the L1-norm
and
related methods
Boston, Basel, Berlin: Birkhäuser, pp. 109-123.
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Acerbi,
C., Tasche,
D. (2002)
Expected Shortfall: a natural coherent alternative to Value at Risk.
Economic Notes 31, no 2, 379-388.
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Haaf,
H., Tasche,
D. (2002)
Credit portfolio measurements.
(Preprint: Calculating Value-at-Risk
contributions in CreditRisk+)
GARP Risk Review, issue 07 Jul/Aug 02, 43-47.
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Severin, M. (2002)
Randbereiche von Verteilungen. fat Tails.
Investmentmodelle für das Asset Liability Modelling von
Versicherungsunternehmen,
Schriftenreihe Angewandte Versicherungsmathematik 31,
Verlag Versicherungswirtschaft, Karlsruhe.
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Klüppelberg,
C., Severin, M.
, (2002)
Prediction of outstanding insurance claims.
Technical Report. Technische Universität München.
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pdf-file
2001
Balkema, A. A., Klüppelberg,
C. und Resnick S. I. (2001)
Stability for multivariate exponential families.
J. Math. Sci. 106, 2777-2791.
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Emmer, S., Klüppelberg,
C. , Korn, R. (2001)
Optimal portfolios with bounded Capital-at-Risk.
Math. Finance 11, 365-384
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Borkovec, M. (2001)
Asymptotic behavior of the sample autocovariance and
autocorrelation function of the AR(1) process with ARCH(1) errors.
Bernoulli 7, 847-872.
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pdf-file
Gogl, H., Greiner, M., Jobmann, M., Klüppelberg, C.,
(2001)
Fluid
queue models for observed long range dependence in telecommunication
data.
In: Greiner, M. and Jobmann, M. (eds.)
Stochastic Modeling of High-Speed Networks: Workshop Proceedings.
CS Press, Munich.
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pdf-file
Czado,
C.
(2001)
Individual migraine risk management using binary state space mixed
models.
Submitted for publication.
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Christensen, O., Lindner,
A. (2001)
Frames containing a Riesz basis and approximation of the inverse frame
operator.
In: Hausmann, W., Jetter, K.
und Reimer, M. (Eds.), Recent
Progress in Multivariate Approximations, pp. 89-100. Birkhäuser.
pdf-file
Christensen, O., Lindner,
A. (2001)
Frames of exponentials: lower frame bounds for finite
subfamilies and approximation of the inverse frame operator.
Lin. Alg.
Appl. 323, 117-130a.
pdf-file
Kafetzaki-Boulamatsis,
M., Tasche, D. (2001)
Combined Market and Credit Risk Stress Testing based on the Merton
Model.
RiskLab report
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Borkovec, M., Klüppelberg,
C. (2001)
The tail of the stationary distribution of an
autoregressive process with ARCH(1) errors.
Ann. Applied Probab 11, 1220-1241.
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pdf-file
Klüppelberg,
C. (2001)
Developments in insurance mathematics.
In: Engquist, B., Schmid, W. (Eds.)
Mathematics
Unlimited - 2001 and Beyond, pp. 703-722.Springer, Berlin.
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C.Czado, A.Munk (2001)
Bootstrap
Methods
for the
Nonparametric Assessment of Population Bioequivalence and Similarity of
Distributions.
Journal of Statistical Computation and Simulation 68, 243 -280.
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pdf-file
Barndorff-Nielsen, O.E., Cox, D., Klüppelberg,
C. (Eds.) (2001)
Complex Stochastic Systems.
Chapman
and Hall / CRC, Boca Raton.
Christensen, O.,
Lindner, A. (2001)
Lower bounds for finite Gabor and wavelet systems.
Approx. Theory Appl. (N.S.) 17,
18-29.
pdf-file
2000
Lindner, A. (2000)
A universal constant for exponential Riesz sequences.
Z. Anal. Anwend. 19 , no. 2, 553-559.
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Borkovec, M., Klüppelberg,
C. (2000)
Extremwerttheorie für Finanzzeitreihen - ein unverzichtbares
Werkzeug im Risikomanagement.
In: Rudolph, B. und Johanning, L. (Hrsg.) Handbuch Risikomanagement,
pp. 219-241. Uhlenbruch Verlag, Bad Soden.
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Czado, C., Munk, A. (2000)
Noncanonical
links in generalized linear models - when is the effort justified.
Journal of Statistical Planning and Inference 87,
317-345.
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Czado, C. (2000)
Multivariate
regression analysis of panel data with binaryoutcomes applied to
unemployment data.
Statistical Papers 41, 281-304.
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pdf-file
Borkovec, M., Dasgupta A., Resnick S.,
Samorodnitsky G. (2000)
A single channel on/off model with top-like control.
Stochastic Models 18, 333-367.
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Borkovec, M., Szimayer,
A. (2000)
How to explain
a corporate credit spread.
Technical
Report. Technische Universität München.
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Tasche,
D. (2000)
Conditional expectation as quantile derivative.
Technical Report. Munich University of Technology.
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Tasche, D. (2000)
On the determination coefficient in robust regression.
Technical Report. Munich University of Technology.
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pdf-file
Emmer, S., Klüppelberg,
C. , Korn, R. (2000)
Optimal portfolios with bounded downside risks.
Technical
report.
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Kühn, C. (2000)
An estimator of the number of change points based on a weak invariance
principle.
Statistics and Probability Letters, 51, 189-196.
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Borkovec, M. (2000)
Extremal behavior of the autoregressive processwith
ARCH(1) errors.
Stoch. Proc. Appl. 85, 189-207.
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1999
Lindner, A. (1999)
On lower bounds of exponential frames.
J. Fourier
Anal. Appl. 5 no. 2, 187-194.
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Balkema,
A.A., Klüppelberg,
C., Resnick,
S.I. (1999)
Limit laws for exponential families.
Bernoulli 1, 951-968.
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Rootzen, H. und Klüppelberg,
C. (1999)
A single number
can't hedge against economic catastrophes.
Ambio 28, No 6, 550-555. Royal Swedish Academy of
Sciences.
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Barndorff-Nielsen, O.E., Klüppelberg,
C. (1999)
Tail exactness of multivariate saddlepoint
approximations.
Scand. J. Statist. 26, 253-264.
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pdf-file
Klüppelberg,
C. und Korn, R. (1999)
Optimale Portfolios mit beschränktem Value-at-Risk.
Solutions 3, 23 - 32.
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pdf-file
Greiner,
M., Jobmann, M., Klüppelberg, C. (1999)
Telecommunication traffic, queueing models and
subexponential distributions.
Queueing Systems 33, 125-152.
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1998
Czado, C., Munk, A. (1998)
Assessing
the similarity of distributions - finite sample performance of the
empirical Mallow distance.
Journal of Statistical Computation and Simulation 60,
319-346.
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Czado, C., Munk, A. (1998)
Nonparametric
validation of similar distributions and assessment of goodness of fit.
Journal of Royal Statistical Society, Series B 60,
223-241.
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Klüppelberg, C. (1998)
Risikomanagement in der Finanzmathematik.
DMV-Mitteilungen. Heft 3, 62-67.
Asmussen, S., Klüppelberg,
C. , Sigman, K. (1998)
Sampling at subexponential times, with queueing
applications.
Stoch. Proc. Appl. 79, 265 - 286.
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Emmer, S., Klüppelberg,
C., Trüstedt,
M. (1998)
VaR - ein Maß für das extreme Risiko.
Solutions 2, 53-63.
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english version
Borkovec, M., Klüppelberg,
C. (1998)
Extremal behaviour of diffusion models in finance.
Extremes 1, 47-80.
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Klüppelberg,
C., Stadtmüller, U. (1998)
Ruin probabilities in the presence of heavy tails and
interest rates.
Scand. Act. J., 49-58.
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Goldie, C.M., Klüppelberg,
C. (1998)
Subexponential distributions.
In: R. Adler,
R. Feldman, M.S. Taqqu (Eds.), A Practical Guide to Heavy Tails:
Statistical Techniques for Analysing Heavy Tailed Distributions,
435-459.
Birkhäuser, Boston.
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1997
Czado, C. (1997)
On selecting parametric link transformation families in generalized
linear models.
Journal of
Statistical Planning and Inference 61, 125-139.
Embrechts, P., Klüppelberg,
C., Mikosch, T. (1997)
Modelling
extremal events for insurance and finance.
Springer, Berlin.
Asmussen, S., Klüppelberg,
C. (1997)
Stationary M/G/1
excursions in the presence of heavy tails.
J. Appl. Probab. 34, 208-212.
Klüppelberg,
C., Mikosch, T. (1997)
Large deviations
of heavy-tailed random sums with applications in insurance and finance.
J. Appl. Probab. 34, 293-308.
1996
Czado, C. (1996)
Multivariate
probit analysis of binary time series with missing responses.
Discussion
Paper 23, SFB 386 "Diskrete Strukturen", LMU München.
ps.gz-file
Czado, C. Chappell, R., Newton, M. (1996)
Semiparametric Bayesian inference for binary regression.
Journal of
the American Statistical Association 91, No. 433, 142-153.
Czado, C. (1996)
Bayesian analysis of multivariate binary response data.
Proceedings of the 11th International Workshop on
Statistical
Modeling, July 15-19, 1996, Orvieto, Italy (8 pages).
Asmussen, S., Klüppelberg,
C. (1996)
Large deviations results in the presence of heavy tails, with
applications to insurance risk.
Stoch. Proc. Appl. 64, 103-125.
Klüppelberg,
C., Mikosch, T. (1996)
Parameter estimation for a misspecified ARMA model with infinite
variance innovations.
J. Math. Sciences 78, 60-65.
Klüppelberg,
C., Mikosch, T. (1996)
Self-normalised
and randomly centred spectral estimates.
In: Heyde, C.C., Prokhorov, Yu.V., Pyke, R. and Rachev, S.T. (Eds.)
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Applied
Probability and Time Series, vol 2: Time Series, pp. 259-271.
Springer, Berlin.
Klüppelberg,
C., Mikosch, T.
(1996)
Gaussian limit fields for the
integrated periodogram.
Ann. Appl.
Prob. 6, 969-991.
Klüppelberg,
C., Mikosch, T. (1996)
The integrated
periodogram for stable processes.
Annals of Statistics 24, 1855-1879.
1995
Klüppelberg,
C., Mikosch, T. (1995)
On strong
consistency of estimators for infinite variance time series.
Theory Prob. Math. Stat. 53, 127-136.
Klüppelberg,
C., Mikosch, T. (1995)
Delay in claim settlement and ruin probability approximations.
Scand. Act. J., 154-168.
Klüppelberg,
C., Mikosch, T. (1995)
Explosive Poisson shot noise processes with applications to risk
reserves.
Bernoulli 1, 125-147.
Mikosch, T., Gadrich, T., Klüppelberg,
C., Adler, R.J. (1995)
Parameter estimation for ARMA models with infinite variance
innovations.
Annals of Statistics 23, 305-326.
Balkema, A.A., Klüppelberg,
C., Stadtmüller, U. (1995)
Tauberian results for densities with Gaussian tails.
J. London Math. Soc. 51, 383-400.
1994
Czado, C. (1994)
Parametric link
modification of both tails in binary regression.
Statistical Papers 35, 189-201.
Czado, C. (1994)
Bayesian inference of binary regression models with parametric link.
Journal of
Statistical Planning and Inference 41, 121-140.
Czado, C. (1994)
Modeling overdispersion in binomial regression.
Proceedings of the 9th International Workshop on Statistical
Modeling, July 11-15, 1994, Exeter, U.K. (8 pages).
Klüppelberg, C., Mikosch, T. (1994)
Some limit theory for the self-normalised periodogram of stable
processes.
Scand. J. Stat. 21, 485-491.
Asmussen, S., Henriksen, L. Fløe, Klüppelberg,
C. (1994)
Large claims approximations for risk processes in a Markovian
environment.
Stoch. Proc. Appl. 54, 29-43.
Klüppelberg,
C. (1994)
Katastrophen - Modellierung und Vorhersage.
Antrittsvorlesung, 1. Dezember 1993, ETH-Zürich.
Mitteilungen der Schweizerischen Vereinigung der
Versicherungsmathematiker, 1, 29-49.
1993
Czado, C. (1993)
Norm restricted maximum likelihood estimators for binary regression
models with parametric link.
Communications in Statistics, Theory and Methods, 22,
2259-2274.
Buchwalder, M., Chevallier, E., Klüppelberg,
C. (1993)
Approximation methods for the total claimsize distribution - an algorithmic and graphical presentation.
Mitteilungen der Schweizerischen Vereinigung der
Versicherungsmathematiker, 2, 187-227.
Klüppelberg,
C. (1993)
Asymptotic ordering of risks and ruin probabilities.
Insurance: Math. and Economics 12, 259-264.
Embrechts, P., Klüppelberg,
C. (1993)
Some aspects of insurance mathematics.
Theory of Probability and its Applications 38,
262-295.
Klüppelberg,
C., Mikosch, T. (1993)
Spectral estimates and stable processes.
Stoch. Proc. Appl. 47, 323-344.
Balkema, A.A., Klüppelberg,
C., Resnick, S.I. (1993)
Densities
with Gaussian tails.
Proc. London Math. Soc. 66, 568-588.
Klüppelberg,
C., Villasenor, J. (1993)
Estimation of distribution tails - a
semiparametric approach.
Blätter der Deutschen Gesellschaft für
Versicherungsmathematik 21, 213-235.
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Barndorff-Nielsen, O.E., Klüppelberg,
C. (1992)
A note on the tail accuracy of the univariate saddlepoint
approximation.
Annales de
Toulouse, Série 6, Vol. I, 5-14.
Keller, B., Klüppelberg,
C. (1991)
Statistical estimation of large claims distributions.
Mitteilungen der Schweizerischen Vereinigung der
Versicherungsmathematiker, 203-216
Klüppelberg,
C., Villasenor, J. (1991)
The full solution of the convolution closure problem for convolution-
equivalent distributions.
J. Math. Anal. Appl. 160, 79-92.
Klüppelberg,
C. (1990)
Asymptotic ruin
probabilities and hazard rates.
Math. Oper. Res. 60, 567-576.
Klüppelberg,
C. (1990)
Asymptotic ordering of distribution functions and convolution
semigroups.
Semigroup Forum 40, 77-92.
Klüppelberg,
C. (1989)
Estimation of ruin probabilities by means of hazard rates.
Insurance:
Math. and Economics 8 , 279-285.
Klüppelberg,
C. (1989)
Subexponential distributions and characterizations of related classes.
Prob. Th. Rel. Fields 82, 259-269.
Klüppelberg,
C. (1988)
Subexponential distributions and integrated tails.
J. Appl. Prob. 25, 132-141.
Czado, C., Taqqu, M.S. (1985)
A survey of functional laws of the iterated logarithm for self-similar
processes.
Stochastic
Models, 1, 1-42.
Czado, C., Taqqu, M.S. (1985)
Reproducing kernel Hilbert space for some non-Gaussian processes.
Probability in Banach Spaces, Vol. 5, (Proceedings,
Medford
1984), Lectures Notes in Mathematics, 1153, Springer Verlag,
128-140.
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